Econometric Modelling with Time Series

Specification, Estimation and Testing

PART SIX: Nonlinear Time Series

Chapter 19: Nonlinearities in Mean

(1) Features of Nonlinear Models

nlm_features.g nlm_features.m nlm_features.R

(2) Sampling Properties of the LST Linearity Test

nlm_tarsim.g
nlm_tarsim.m
nlm_tarsim.R

(3) Artificial Neural Networks

nlm_ann.g
nlm_ann.m
nlm_ann.R
nlm_neural.g
nlm_neural.m
nlm_neural.R

(4) Neural Network Test

nlm_lgwtest.g
nlm_lgwtest.m
nlm_lgwtest.R

(5) Bilinearity

nlm_bilinear.g
nlm_blinear.m
nlm_blinear.R
nlm_blinest.g
nlm_blinest.m
nlm_blinest.R

(6) A Markov Switching Model of the Business Cycle

nlm_bcycle.g
nlm_bcycle.m
nlm_bcycle.R
nlm_GNP.dat
nlm_GNP.mat
nlm_GNP.Rdata

(7) Nonparametric Autoregression

nlm_linear.g
nlm_linear.m
nlm_linear.R
nlm_tar.g
nlm_tar.m
nlm_tar.R

(8) Impulse Response Function of Nonlinear Time Series Models

nlm_girf.g
nlm_girf.m
nlm_girf.R

(9) LSTAR Model of Unemployment

nlm_usurate.g nlm_usurate.m nlm_usurate.R nlm_ozurate.g nlm_ozurate.m nlm_ozurate.R

usunemp.dat usunemp.mat ausu.dat ausu.mat

(10) Bivariate LSTAR Model of G7 Countries

nlm_g7.g nlm_g7.m nlm_g7.R

G7Data.xlsx G7Data.Rdata final_estimates.dat FinalEstimates.xlsx

(11) Sunspots

nlm_sunspots.g nlm_sunspots.m nlm_sunspots.R

sunspots.xlsx sunspots.dat sunspot.mat

(12) Relationship with Time-varying Parameter Models

nlm_tvarying.g
nlm_tvarying.m
nlm_tvarying.R
nlm_tvarying.dat

(13) GENTS

nlm_gents.g nlm_gents.m nlm_gents.R

ftse.xls ftse.dat ftse.mat